Here's my experience getting this combination of tools to work properly. At times, it was extremely frustrating, and other times it was confusing. MS has not helped much what with obsolete, out-dated, mis-named, and near impossible to find products. Hopefully the RTM version will have everything stitched together nicely so all you have to do is double click a setup file. It would be even better to have log information easily and readily available for the installs. If you want to develop with these technologies, give these steps a try. I don't claim that they are authoritatve or complete, but I documented as much as I could capture.

1. ActiveSync Setup 4.2 - required for several other installs later on.
2. Windows Mobile 5.0 PPC SDK - adds new platform targets and emulators to support PPC development with WM 5.0. There is also a Windows Mobile 5.0 SDK for Smartphone download available if you prefer that instead.
3. VS.NET 2005 SP1 Beta - I couldn't get to this page from the MS site anywhere, but I was able to find a link to take me to the download location. I can't swear that this is entirely required, as I installed the other tools without it on one PC, and it seemed to work OK.
4. Microsoft SQL Server 2005 Everywhere Edition Tools for Visual Studio 2005 Service Pack 1 Beta - This install specifically states that VS.NET SP1 Beta is required. As you can see from the title, it also mentions SqlServer Everywhere, but ignore that inconsistency. The MSSQL team has renamed the product to SQL Server Compact Edition. This naming problem is supposed to be fixed by the time MS releases MSSQL Compact Edition.

   I also ran into a problem when uninstalling this application. I would get the following error when trying to reinstall it:
   

   
   The upgrade patch cannot be installed by the Windows Installer service
   because the program to be upgraded may be missing, or the upgrade path
   may update a different version of the program. Verify that the program
   to be upgraded exists on your computer and that you have the correct
   upgrade patch
   

   
   I finally did a Repair install on VS.NET, and I was able to install the tools again.

   However, even with all of that, I would recommend installing this because it allows for things like Server Explorer to be used on SDF files.

5. Microsoft SQL Server 2005 Compact Edition RC1 - This installs MSSQL Compact Edition. Note that there are numerous naming changes throughout the web (Mobile, Everywhere, Compact), but Compact Edition is going to be the final answer - allegedly.
6. Windows Mobile 5.0 SDK for Pocket PC - This install will give you some more power within the IDE, e.g. it will bring up the Data Configuration Wizard to generate DataSets when adding an SDF to your project. It also installs the latest version of Northwind.sdf for you to play with. By default, it gets installed to C:\Program Files\Microsoft Visual Studio 8\SmartDevices\SDK\SQL Server\Mobile\v3.0\northwind.sdf.
7. (Semi-optional) SQL Server 2005 Compact Edition Books Online Community Technology Preview (CTP) - Reference information is always good, right?

Additional notes:

• You can manage an SDF file from your desktop machine, by using Server Explorer within VS.NET, or by selecting SQL Server Mobile as the Database Type in SQL Server Management Studio. On the PPC device, you can use QueryAnalyzer (located at /Program Files/SQL Mobile/EN/isqlw30.exe), or open the sdf file on the PPC device.
• To deploy an SDF to the PPC, just add it to your solution and it will get deployed to the PPC device automatically.

Good luck, and I hope this helps someone through the corn field maze that is CF and MSSQL CE installation.